These are the monthly returns from 1986 thru 2002 resulting from investing, each year, in the five best picks from a
highly reputable, independent stock ranking system. This example is provided for educational purposes only.
No recommendation of any company or stock ranking system is implied.
In this lower risk example, the same five stocks are selected as in the higher risk example.
The only difference is this example has only 30% of investment capital is committed to these five common stocks
and the remaining 70% of investment capital is committed to 4 year Fed Bonds.
Name Valueline Bargain Five
Strategy Rebalance at year begin only, committing 30% to five common stocks and 70% to 4 year Fed Bonds.
Description Strategy Description Follows... Filter Valueline 5000 for top 400 stocks where (Volume*Price) is highest. Filter remainder for all stocks where Timeliness == 1. Filter remainder for all stocks where TechnicalRank == 1. Filter remainder for top five stocks with highest net margin (EarningsPS/SalesPS).
Annual Return Statistics Min5Yr = 0.06737632949975 Max5Yr = 0.1819467905829 Min3Yr = -0.03637533354159 Max3Yr = 0.2075060547212 AvgLTCG = 0.1300685762349 ~Avg = 0.08917327208702 Std = 0.1270680677984 Min = -0.0569778862766 Max = 0.4563135047229 DSar = 0.1077813191329 Sar = 0.09101773592413 Avg = 0.1077813191329
Monthly Return Statistics Alpha = 0.00537109375 Beta = 0.437744140625 Std = 0.0476222184957 Shp = 0.1145005301555 Sor = 0.2138605898503 Cor = 0.6171591684376 Min = -0.1256405235259 Max = 0.1758397802989 Avg = 0.009538343101602
Cal Years Annual Returns 1986 = 0.1557751810052 1987 = 0.03419017779283 1988 = 0.01758654451254 1989 = 0.1391032194356 1990 = -0.00977347524739 1991 = 0.4563135047229 1992 = 0.05213583625695 1993 = 0.1068885397711 1994 = 0.1849541958882 1995 = 0.1060445753541 1996 = 0.1811712133968 1997 = 0.1660288286289 1998 = 0.2051098104946 1999 = 0.2513795250402 2000 = -0.03871782165756 2001 = -0.0569778862766 2002 = -0.01343029269062 AvgYr = 0.1077813191329
Cal Years Safe Annual Returns 1986 = 0.1557751810052 1987 = 0.03419017779283 1988 = 0.01758654451254 1989 = 0.1391032194356 1990 = -0.00977347524739 1991 = 0.4563135047229 1992 = 0.05213583625695 1993 = 0.1068885397711 1994 = 0.1849541958882 1995 = 0.1060445753541 1996 = 0.1811712133968 1997 = 0.1660288286289 1998 = 0.2051098104946 1999 = 0.2513795250402 2000 = -0.03871782165756 2001 = -0.0569778862766 2002 = -0.01343029269062 AvgYr = 0.1077813191329
Cal Years Draw Downs 1986 = -0.0001717979485663 1987 = -0.02018162267143 1988 = -0.03120816267069 1989 = -0.0004530382530309 1990 = -0.06086999797027 1991 = -3.285547040155E-005 1992 = -0.04356109711343 1993 = -0.0002326723440569 1994 = 0 1995 = -0.001823141217878 1996 = -0.009265226860231 1997 = 0 1998 = -0.01218754104084 1999 = 0 2000 = -0.02476169993854 2001 = -0.08708313099298 2002 = -0.0430564790078
Cal Years Market Index 1986 = 0.06314366675101 1987 = -0.04488838459459 1988 = 0.1672710036364 1989 = 0.1042876152074 1990 = -0.08640011745129 1991 = 0.3972556500947 1992 = 0.1276206127124 1993 = 0.140552722764 1994 = -0.02384492598634 1995 = 0.2252842480608 1996 = 0.232558828465 1997 = 0.236860043948 1998 = 0.0421893911475 1999 = 0.1305924150612 2000 = 0.07059531680366 2001 = 0.1329659356518 2002 = -0.2059833960051 AvgYr = 0.09500336812592
Cal Years Market Index Deltas 1986 = 0.0926315142542 1987 = 0.07907856238742 1988 = -0.1496844591239 1989 = 0.03481560422818 1990 = 0.0766266422039 1991 = 0.05905785462819 1992 = -0.07548477645545 1993 = -0.03366418299285 1994 = 0.2087991218745 1995 = -0.1192396727067 1996 = -0.0513876150682 1997 = -0.07083121531907 1998 = 0.1629204193471 1999 = 0.120787109979 2000 = -0.1093131384612 2001 = -0.1899438219284 2002 = 0.1925531033145 AvgYr = 0.01277795100696
Seasonal Jan = 0.02294339781576 Feb = -0.01722222260531 Mar = 0.04614513534971 Apr = 0.01161147683035 May = -0.0317582794474 Jun = 0.05189177721227 Jul = 0.002465761120735 Aug = 0.005676793832558 Sep = -0.001281077151198 Oct = 0.01743687718384 Nov = 0.01197979714642 Dec = -0.002214488683718
Balance by Months #Jan,1,1986 = 1.042488591859 #Feb,1,1986 = 0.9998282020514 #Mar,1,1986 = 1.117993794458 #Apr,1,1986 = 1.153857764935 #May,1,1986 = 1.024140384225 #Jun,1,1986 = 1.204225004382 #Jul,1,1986 = 1.126763271059 #Aug,1,1986 = 1.182048616629 #Sep,1,1986 = 1.143709166924 #Oct,1,1986 = 1.178234978956 #Nov,1,1986 = 1.202311926771 #Dec,1,1986 = 1.155775181005 #Jan,1,1987 = 1.224553677789 #Feb,1,1987 = 1.180225507281 #Mar,1,1987 = 1.277337004991 #Apr,1,1987 = 1.271333514581 #May,1,1987 = 1.200155493252 #Jun,1,1987 = 1.314957391538 #Jul,1,1987 = 1.368404883541 #Aug,1,1987 = 1.35411910981 #Sep,1,1987 = 1.31801519789 #Oct,1,1987 = 1.152419078412 #Nov,1,1987 = 1.132449762409 #Dec,1,1987 = 1.195291339932 #Jan,1,1988 = 1.157988493357 #Feb,1,1988 = 1.1801220863 #Mar,1,1988 = 1.214812611353 #Apr,1,1988 = 1.22354502826 #May,1,1988 = 1.164011332431 #Jun,1,1988 = 1.25805750117 #Jul,1,1988 = 1.217898730271 #Aug,1,1988 = 1.191256628963 #Sep,1,1988 = 1.215055245095 #Oct,1,1988 = 1.224650372002 #Nov,1,1988 = 1.205587902832 #Dec,1,1988 = 1.216312384287 #Jan,1,1989 = 1.245188642018 #Feb,1,1989 = 1.21576134825 #Mar,1,1989 = 1.273519724514 #Apr,1,1989 = 1.304828306155 #May,1,1989 = 1.248393101689 #Jun,1,1989 = 1.338262351706 #Jul,1,1989 = 1.356858671352 #Aug,1,1989 = 1.388162442118 #Sep,1,1989 = 1.427630551889 #Oct,1,1989 = 1.378387224464 #Nov,1,1989 = 1.368981561747 #Dec,1,1989 = 1.385505352781 #Jan,1,1990 = 1.362576690539 #Feb,1,1990 = 1.354039241789 #Mar,1,1990 = 1.423896629762 #Apr,1,1990 = 1.417449421447 #May,1,1990 = 1.366226900867 #Jun,1,1990 = 1.456324004496 #Jul,1,1990 = 1.375842963621 #Aug,1,1990 = 1.321493950359 #Sep,1,1990 = 1.30116964477 #Oct,1,1990 = 1.304976312466 #Nov,1,1990 = 1.370671582175 #Dec,1,1990 = 1.371964150511 #Jan,1,1991 = 1.451122661948 #Feb,1,1991 = 1.371919073983 #Mar,1,1991 = 1.590215666653 #Apr,1,1991 = 1.590223265935 #May,1,1991 = 1.454814203216 #Jun,1,1991 = 1.566230214868 #Jul,1,1991 = 1.655038356005 #Aug,1,1991 = 1.67795089444 #Sep,1,1991 = 1.694923043737 #Oct,1,1991 = 1.801332204483 #Nov,1,1991 = 1.837233386236 #Dec,1,1991 = 1.998009920384 #Jan,1,1992 = 2.018235787853 #Feb,1,1992 = 2.042110089624 #Mar,1,1992 = 1.95325957529 #Apr,1,1992 = 1.910974416209 #May,1,1992 = 2.022706729066 #Jun,1,1992 = 1.93634630619 #Jul,1,1992 = 1.979342552816 #Aug,1,1992 = 1.971803049899 #Sep,1,1992 = 1.941186300782 #Oct,1,1992 = 2.01793370092 #Nov,1,1992 = 2.07926114657 #Dec,1,1992 = 2.102177838433 #Jan,1,1993 = 2.192200381278 #Feb,1,1993 = 2.101688719788 #Mar,1,1993 = 2.172528193809 #Apr,1,1993 = 2.177001819471 #May,1,1993 = 2.191067188143 #Jun,1,1993 = 2.182283412535 #Jul,1,1993 = 2.276628729693 #Aug,1,1993 = 2.29352995136 #Sep,1,1993 = 2.39227847851 #Oct,1,1993 = 2.399033817328 #Nov,1,1993 = 2.428078746603 #Dec,1,1993 = 2.326876557923 #Jan,1,1994 = 2.339359126891 #Feb,1,1994 = 2.361122521622 #Mar,1,1994 = 2.518751529576 #Apr,1,1994 = 2.567506597245 #May,1,1994 = 2.345489445209 #Jun,1,1994 = 2.554461432252 #Jul,1,1994 = 2.490677422934 #Aug,1,1994 = 2.65809621783 #Sep,1,1994 = 2.621973377973 #Oct,1,1994 = 2.764255917445 #Nov,1,1994 = 2.734402366084 #Dec,1,1994 = 2.757242140624 #Jan,1,1995 = 2.75221529883 #Feb,1,1995 = 2.763977824825 #Mar,1,1995 = 2.800293129428 #Apr,1,1995 = 2.887143804094 #May,1,1995 = 2.759479445243 #Jun,1,1995 = 3.026621015831 #Jul,1,1995 = 3.075651055108 #Aug,1,1995 = 3.10249857942 #Sep,1,1995 = 3.092031408061 #Oct,1,1995 = 3.232352122178 #Nov,1,1995 = 3.17913566608 #Dec,1,1995 = 3.049632712575 #Jan,1,1996 = 3.229415391388 #Feb,1,1996 = 3.021377173653 #Mar,1,1996 = 3.27696549713 #Apr,1,1996 = 3.398825938423 #May,1,1996 = 3.237449861122 #Jun,1,1996 = 3.354771908261 #Jul,1,1996 = 3.370829467866 #Aug,1,1996 = 3.401027940841 #Sep,1,1996 = 3.608952978132 #Oct,1,1996 = 3.623514994043 #Nov,1,1996 = 3.718317359164 #Dec,1,1996 = 3.602138371527 #Jan,1,1997 = 3.735754517503 #Feb,1,1997 = 3.658720757905 #Mar,1,1997 = 3.728621945044 #Apr,1,1997 = 3.730175563874 #May,1,1997 = 3.772633152262 #Jun,1,1997 = 3.917572004103 #Jul,1,1997 = 4.190066687534 #Aug,1,1997 = 4.185714776234 #Sep,1,1997 = 4.257881174072 #Oct,1,1997 = 4.063703407253 #Nov,1,1997 = 4.239872267086 #Dec,1,1997 = 4.200197185911 #Jan,1,1998 = 4.40506929575 #Feb,1,1998 = 4.149007110328 #Mar,1,1998 = 4.551034809319 #Apr,1,1998 = 4.7538953892 #May,1,1998 = 4.31357428161 #Jun,1,1998 = 4.643791643219 #Jul,1,1998 = 4.654743274181 #Aug,1,1998 = 4.45261111427 #Sep,1,1998 = 4.30715829493 #Oct,1,1998 = 4.71375997068 #Nov,1,1998 = 4.8537553276 #Dec,1,1998 = 5.061698834753 #Jan,1,1999 = 5.231140931778 #Feb,1,1999 = 5.150622777522 #Mar,1,1999 = 5.764685893799 #Apr,1,1999 = 5.657705232661 #May,1,1999 = 5.332530318214 #Jun,1,1999 = 6.067615574274 #Jul,1,1999 = 6.029436023372 #Aug,1,1999 = 6.255301096641 #Sep,1,1999 = 6.009768398362 #Oct,1,1999 = 6.402135506872 #Nov,1,1999 = 6.965936892507 #Dec,1,1999 = 6.33410628373 #Jan,1,2000 = 6.204871836473 #Feb,1,2000 = 6.414028458805 #Mar,1,2000 = 6.398813470215 #Apr,1,2000 = 6.191335515486 #May,1,2000 = 6.221559480537 #Jun,1,2000 = 6.325838721435 #Jul,1,2000 = 6.177263044554 #Aug,1,2000 = 6.375213793961 #Sep,1,2000 = 6.220176986517 #Oct,1,2000 = 6.477348994822 #Nov,1,2000 = 6.260649711167 #Dec,1,2000 = 6.088863486277 #Jan,1,2001 = 6.375718484305 #Feb,1,2001 = 6.262343643698 #Mar,1,2001 = 5.558626189703 #Apr,1,2001 = 5.91234420054 #May,1,2001 = 6.392595080774 #Jun,1,2001 = 5.768999299671 #Jul,1,2001 = 5.81167126226 #Aug,1,2001 = 5.578253458626 #Sep,1,2001 = 5.605385387001 #Oct,1,2001 = 5.710458058311 #Nov,1,2001 = 5.639598159744 #Dec,1,2001 = 5.741932915002 #Jan,1,2002 = 5.828342571286 #Feb,1,2002 = 5.771479318638 #Mar,1,2002 = 5.893939010843 #Apr,1,2002 = 5.99504626371 #May,1,2002 = 5.845410259646 #Jun,1,2002 = 5.657660494312 #Jul,1,2002 = 5.494705500983 #Aug,1,2002 = 5.54384798527 #Sep,1,2002 = 5.525033086602 #Oct,1,2002 = 5.704885891609 #Nov,1,2002 = 5.682164322936 #Dec,1,2002 = 5.664817075343
Cash by Months #Jan,1,1986 = 0.7 #Feb,1,1986 = 0.6721004952607 #Mar,1,1986 = 0.7014353197604 #Apr,1,1986 = 0.6278864437499 #May,1,1986 = 0.6089416912556 #Jun,1,1986 = 0.6867141256783 #Jul,1,1986 = 0.584568377825 #Aug,1,1986 = 0.625342238247 #Sep,1,1986 = 0.5966540502964 #Oct,1,1986 = 0.617233965528 #Nov,1,1986 = 0.5997095896471 #Dec,1,1986 = 0.588251761688 #Jan,1,1987 = 0.7 #Feb,1,1987 = 0.6613038693062 #Mar,1,1987 = 0.6867859165888 #Apr,1,1987 = 0.6351676485659 #May,1,1987 = 0.6387660923843 #Jun,1,1987 = 0.6772847852287 #Jul,1,1987 = 0.6187349419693 #Aug,1,1987 = 0.5951263703184 #Sep,1,1987 = 0.6019694195461 #Oct,1,1987 = 0.6190395046326 #Nov,1,1987 = 0.7086565898249 #Dec,1,1987 = 0.7218298057952 #Jan,1,1988 = 0.7 #Feb,1,1988 = 0.7232277068144 #Mar,1,1988 = 0.7103294940438 #Apr,1,1988 = 0.6906928826006 #May,1,1988 = 0.6864071558571 #Jun,1,1988 = 0.7221909421434 #Jul,1,1988 = 0.6688307633273 #Aug,1,1988 = 0.6915332093071 #Sep,1,1988 = 0.7076628135771 #Oct,1,1988 = 0.6944534937695 #Nov,1,1988 = 0.6896592403565 #Dec,1,1988 = 0.7012215965257 #Jan,1,1989 = 0.7 #Feb,1,1989 = 0.6844086733239 #Mar,1,1989 = 0.7016326810555 #Apr,1,1989 = 0.6704400541228 #May,1,1989 = 0.6549674921941 #Jun,1,1989 = 0.6852187544414 #Jul,1,1989 = 0.6398038179455 #Aug,1,1989 = 0.6316273977191 #Sep,1,1989 = 0.6179634239807 #Oct,1,1989 = 0.6014433313637 #Nov,1,1989 = 0.623514840424 #Dec,1,1989 = 0.6283880558934 #Jan,1,1990 = 0.7 #Feb,1,1990 = 0.7124473563358 #Mar,1,1990 = 0.7176124588124 #Apr,1,1990 = 0.6830464609362 #May,1,1990 = 0.6867973694581 #Jun,1,1990 = 0.7132156237657 #Jul,1,1990 = 0.6697198311944 #Aug,1,1990 = 0.7095610807727 #Sep,1,1990 = 0.7394366301871 #Oct,1,1990 = 0.7516916113692 #Nov,1,1990 = 0.7502024612411 #Dec,1,1990 = 0.7149162867401 #Jan,1,1991 = 0.7149132115247 #Feb,1,1991 = 0.6765492988536 #Mar,1,1991 = 0.7162795714219 #Apr,1,1991 = 0.6185324914829 #May,1,1991 = 0.6191101572022 #Jun,1,1991 = 0.6773700439418 #Jul,1,1991 = 0.6297749868055 #Aug,1,1991 = 0.5965411797391 #Sep,1,1991 = 0.5889477018393 #Oct,1,1991 = 0.5835975777185 #Nov,1,1991 = 0.5496384901964 #Dec,1,1991 = 0.5394039335079 #Jan,1,1992 = 0.7 #Feb,1,1992 = 0.6936354229766 #Mar,1,1992 = 0.6861696458118 #Apr,1,1992 = 0.7180557723944 #May,1,1992 = 0.7346335419097 #Jun,1,1992 = 0.6947046304063 #Jul,1,1992 = 0.7263694463939 #Aug,1,1992 = 0.711257934859 #Sep,1,1992 = 0.7146477626103 #Oct,1,1992 = 0.7266007488937 #Nov,1,1992 = 0.6996223131274 #Dec,1,1992 = 0.6796244485538 #Jan,1,1993 = 0.7 #Feb,1,1993 = 0.6718846681222 #Mar,1,1993 = 0.7014780291488 #Apr,1,1993 = 0.6792419995068 #May,1,1993 = 0.6784824953102 #Jun,1,1993 = 0.6747598464931 #Jul,1,1993 = 0.6781117362394 #Aug,1,1993 = 0.6506204158865 #Sep,1,1993 = 0.6464321824724 #Oct,1,1993 = 0.6203305056961 #Nov,1,1993 = 0.6191644154314 #Dec,1,1993 = 0.6123321715282 #Jan,1,1994 = 0.7 #Feb,1,1994 = 0.6969184678886 #Mar,1,1994 = 0.6911428724682 #Apr,1,1994 = 0.648497814326 #May,1,1994 = 0.6367805097004 #Jun,1,1994 = 0.6977106207895 #Jul,1,1994 = 0.6412346078465 #Aug,1,1994 = 0.6582733996776 #Sep,1,1994 = 0.6173914047943 #Oct,1,1994 = 0.626484723244 #Nov,1,1994 = 0.5947959484573 #Dec,1,1994 = 0.6018542267963 #Jan,1,1995 = 0.7 #Feb,1,1995 = 0.7019368288572 #Mar,1,1995 = 0.6996057433323 #Apr,1,1995 = 0.6911811924926 #May,1,1995 = 0.6710184749202 #Jun,1,1995 = 0.7027214603642 #Jul,1,1995 = 0.6412979080956 #Aug,1,1995 = 0.6316671496291 #Sep,1,1995 = 0.6267888300286 #Oct,1,1995 = 0.6295010073834 #Nov,1,1995 = 0.6027387975148 #Dec,1,1995 = 0.6134034833015 #Jan,1,1996 = 0.7 #Feb,1,1996 = 0.6616512743384 #Mar,1,1996 = 0.7078734224588 #Apr,1,1996 = 0.6532751951653 #May,1,1996 = 0.6304441216976 #Jun,1,1996 = 0.6624909638202 #Jul,1,1996 = 0.6399226746117 #Aug,1,1996 = 0.6374721284789 #Sep,1,1996 = 0.6324049634762 #Oct,1,1996 = 0.596529235026 #Nov,1,1996 = 0.5946896498793 #Dec,1,1996 = 0.5800714290086 #Jan,1,1997 = 0.7 #Feb,1,1997 = 0.6755968063152 #Mar,1,1997 = 0.6904689292766 #Apr,1,1997 = 0.6781605774234 #May,1,1997 = 0.6785144562198 #Jun,1,1997 = 0.6715081491687 #Jul,1,1997 = 0.647271318665 #Aug,1,1997 = 0.6057450895589 #Sep,1,1997 = 0.6069440979591 #Oct,1,1997 = 0.5972171533286 #Nov,1,1997 = 0.6263416525184 #Dec,1,1997 = 0.6008803617533 #Jan,1,1998 = 0.7 #Feb,1,1998 = 0.6680707560934 #Mar,1,1998 = 0.7099675735518 #Apr,1,1998 = 0.6478582922882 #May,1,1998 = 0.6207947635987 #Jun,1,1998 = 0.6848064955333 #Jul,1,1998 = 0.6367074230316 #Aug,1,1998 = 0.6358056636294 #Sep,1,1998 = 0.6652928342673 #Oct,1,1998 = 0.6884053950601 #Nov,1,1998 = 0.6296150792337 #Dec,1,1998 = 0.6120292679613 #Jan,1,1999 = 0.7 #Feb,1,1999 = 0.6779620865269 #Mar,1,1999 = 0.6892068266786 #Apr,1,1999 = 0.6163695176783 #May,1,1999 = 0.628613886681 #Jun,1,1999 = 0.6675725043519 #Jul,1,1999 = 0.5872475361109 #Aug,1,1999 = 0.5915208480706 #Sep,1,1999 = 0.570697558514 #Oct,1,1999 = 0.5945713583664 #Nov,1,1999 = 0.5586558420103 #Dec,1,1999 = 0.5139219387634 #Jan,1,2000 = 0.7 #Feb,1,2000 = 0.7152503145586 #Mar,1,2000 = 0.6925760623973 #Apr,1,2000 = 0.6948745336594 #May,1,2000 = 0.7188346329044 #Jun,1,2000 = 0.7160140782762 #Jul,1,2000 = 0.7048718880489 #Aug,1,2000 = 0.7225030701259 #Sep,1,2000 = 0.7007264728277 #Oct,1,2000 = 0.7188661317116 #Nov,1,2000 = 0.6909728042161 #Dec,1,2000 = 0.7155604570892 #Jan,1,2001 = 0.7364393524579 #Feb,1,2001 = 0.703965828433 #Mar,1,2001 = 0.7173833652661 #Apr,1,2001 = 0.8089621737479 #May,1,2001 = 0.7612783186197 #Jun,1,2001 = 0.7047473653818 #Jul,1,2001 = 0.7816595846301 #Aug,1,2001 = 0.7766486467801 #Sep,1,2001 = 0.8099064794241 #Oct,1,2001 = 0.8067428524127 #Nov,1,2001 = 0.7926421150093 #Dec,1,2001 = 0.8033548431119 #Jan,1,2002 = 0.7897778487358 #Feb,1,2002 = 0.7787991684287 #Mar,1,2002 = 0.7872105253552 #Apr,1,2002 = 0.7715780866718 #May,1,2002 = 0.7592773944848 #Jun,1,2002 = 0.7794450404361 #Jul,1,2002 = 0.806066921319 #Aug,1,2002 = 0.830751335234 #Sep,1,2002 = 0.8241602074095 #Oct,1,2002 = 0.8277430795056 #Nov,1,2002 = 0.8024000848868 #Dec,1,2002 = 0.8063649193211
Rebalance Years #Jan,1,1986 = true #Jan,1,1987 = true #Jan,1,1988 = true #Jan,1,1989 = true #Jan,1,1990 = true #Jan,1,1992 = true #Jan,1,1993 = true #Jan,1,1994 = true #Jan,1,1995 = true #Jan,1,1996 = true #Jan,1,1997 = true #Jan,1,1998 = true #Jan,1,1999 = true #Jan,1,2000 = true
Draw Downs by Month #Jan,1,1986 = 0.0 #Feb,1,1986 = -0.04092168503419 #Mar,1,1986 = 0.0 #Apr,1,1986 = 0.0 #May,1,1986 = -0.1124205986667 #Jun,1,1986 = 0.0 #Jul,1,1986 = -0.0643249667137 #Aug,1,1986 = -0.018415485206 #Sep,1,1986 = -0.05025293216645 #Oct,1,1986 = -0.02158236652768 #Nov,1,1986 = -0.001588638006705 #Dec,1,1986 = -0.04023319828139 #Jan,1,1987 = 0.0 #Feb,1,1987 = -0.03619945071576 #Mar,1,1987 = 0.0 #Apr,1,1987 = -0.004700005078415 #May,1,1987 = -0.06042376556617 #Jun,1,1987 = 0.0 #Jul,1,1987 = 0.0 #Aug,1,1987 = -0.01043972723499 #Sep,1,1987 = -0.03682366692529 #Oct,1,1987 = -0.1578376456605 #Nov,1,1987 = -0.1724307797858 #Dec,1,1987 = -0.1265075458957 #Jan,1,1988 = -0.153767640495 #Feb,1,1988 = -0.1375929006872 #Mar,1,1988 = -0.1122418328343 #Apr,1,1988 = -0.1058603758456 #May,1,1988 = -0.1493662830117 #Jun,1,1988 = -0.08063942455774 #Jul,1,1988 = -0.1099865654384 #Aug,1,1988 = -0.1294560233663 #Sep,1,1988 = -0.1120645214661 #Oct,1,1988 = -0.1050526151052 #Nov,1,1988 = -0.1189830456375 #Dec,1,1988 = -0.1111458319702 #Jan,1,1989 = -0.09004370198092 #Feb,1,1989 = -0.1115485169097 #Mar,1,1989 = -0.06933997398594 #Apr,1,1989 = -0.04646035552059 #May,1,1989 = -0.08770195378217 #Jun,1,1989 = -0.02202749507634 #Jul,1,1989 = -0.008437716298707 #Aug,1,1989 = 0.0 #Sep,1,1989 = 0.0 #Oct,1,1989 = -0.03449304678989 #Nov,1,1989 = -0.04108134983821 #Dec,1,1989 = -0.0295070731375 #Jan,1,1990 = -0.04556771446512 #Feb,1,1990 = -0.05154786720024 #Mar,1,1990 = -0.002615468072004 #Apr,1,1990 = -0.007131488205283 #May,1,1990 = -0.04301088327151 #Jun,1,1990 = 0.0 #Jul,1,1990 = -0.05526314242382 #Aug,1,1990 = -0.09258245673396 #Sep,1,1990 = -0.1065383522126 #Oct,1,1990 = -0.1039244643112 #Nov,1,1990 = -0.05881412519246 #Dec,1,1990 = -0.05792656972297 #Jan,1,1991 = -0.003571555871307 #Feb,1,1991 = -0.05795752198867 #Mar,1,1991 = 0.0 #Apr,1,1991 = 0.0 #May,1,1991 = -0.08515097572776 #Jun,1,1991 = -0.01508785060627 #Jul,1,1991 = 0.0 #Aug,1,1991 = 0.0 #Sep,1,1991 = 0.0 #Oct,1,1991 = 0.0 #Nov,1,1991 = 0.0 #Dec,1,1991 = 0.0 #Jan,1,1992 = 0.0 #Feb,1,1992 = 0.0 #Mar,1,1992 = -0.04350916965033 #Apr,1,1992 = -0.06421577077626 #May,1,1992 = -0.009501623177432 #Jun,1,1992 = -0.05179142102656 #Jul,1,1992 = -0.03073660775076 #Aug,1,1992 = -0.03442862364878 #Sep,1,1992 = -0.04942132618339 #Oct,1,1992 = -0.01183892525061 #Nov,1,1992 = 0.0 #Dec,1,1992 = 0.0 #Jan,1,1993 = 0.0 #Feb,1,1993 = -0.04128804203419 #Mar,1,1993 = -0.008973717748079 #Apr,1,1993 = -0.006933016678567 #May,1,1993 = -0.0005169204168977 #Jun,1,1993 = -0.004523751034421 #Jul,1,1993 = 0.0 #Aug,1,1993 = 0.0 #Sep,1,1993 = 0.0 #Oct,1,1993 = 0.0 #Nov,1,1993 = 0.0 #Dec,1,1993 = -0.04167994502735 #Jan,1,1994 = -0.0365390207529 #Feb,1,1994 = -0.02757580456344 #Mar,1,1994 = 0.0 #Apr,1,1994 = 0.0 #May,1,1994 = -0.08647189155198 #Jun,1,1994 = -0.005080869123258 #Jul,1,1994 = -0.02992365215088 #Aug,1,1994 = 0.0 #Sep,1,1994 = -0.01358974126475 #Oct,1,1994 = 0.0 #Nov,1,1994 = -0.0107998507563 #Dec,1,1994 = -0.002537310954507 #Jan,1,1995 = -0.004355826296201 #Feb,1,1995 = -0.000100603065682 #Mar,1,1995 = 0.0 #Apr,1,1995 = 0.0 #May,1,1995 = -0.04421821963637 #Jun,1,1995 = 0.0 #Jul,1,1995 = 0.0 #Aug,1,1995 = 0.0 #Sep,1,1995 = -0.003373787639537 #Oct,1,1995 = 0.0 #Nov,1,1995 = -0.01646369395627 #Dec,1,1995 = -0.05652831210723 #Jan,1,1996 = -0.0009085429679645 #Feb,1,1996 = -0.06526979133176 #Mar,1,1996 = 0.0 #Apr,1,1996 = 0.0 #May,1,1996 = -0.04747994755366 #Jun,1,1996 = -0.01296154347421 #Jul,1,1996 = -0.008237100417641 #Aug,1,1996 = 0.0 #Sep,1,1996 = 0.0 #Oct,1,1996 = 0.0 #Nov,1,1996 = 0.0 #Dec,1,1996 = -0.0312450435007 #Jan,1,1997 = 0.0 #Feb,1,1997 = -0.02062066959628 #Mar,1,1997 = -0.001909272256961 #Apr,1,1997 = -0.001493394066096 #May,1,1997 = 0.0 #Jun,1,1997 = 0.0 #Jul,1,1997 = 0.0 #Aug,1,1997 = -0.001038625784329 #Sep,1,1997 = 0.0 #Oct,1,1997 = -0.04560431794153 #Nov,1,1997 = -0.004229546633608 #Dec,1,1997 = -0.01354758054597 #Jan,1,1998 = 0.0 #Feb,1,1998 = -0.05812898009771 #Mar,1,1998 = 0.0 #Apr,1,1998 = 0.0 #May,1,1998 = -0.09262322191408 #Jun,1,1998 = -0.02316074228967 #Jul,1,1998 = -0.0208570250083 #Aug,1,1998 = -0.06337629465191 #Sep,1,1998 = -0.09397284914707 #Oct,1,1998 = -0.008442638138769 #Nov,1,1998 = 0.0 #Dec,1,1998 = 0.0 #Jan,1,1999 = 0.0 #Feb,1,1999 = -0.0153920827801 #Mar,1,1999 = 0.0 #Apr,1,1999 = -0.01855793413696 #May,1,1999 = -0.07496602304889 #Jun,1,1999 = 0.0 #Jul,1,1999 = -0.006292348359059 #Aug,1,1999 = 0.0 #Sep,1,1999 = -0.03925193919307 #Oct,1,1999 = 0.0 #Nov,1,1999 = 0.0 #Dec,1,1999 = -0.09070289015341 #Jan,1,2000 = -0.1092552326813 #Feb,1,2000 = -0.07922960575413 #Mar,1,2000 = -0.08141380420796 #Apr,1,2000 = -0.1111984488194 #May,1,2000 = -0.1068596261288 #Jun,1,2000 = -0.09188974590924 #Jul,1,2000 = -0.1132186323424 #Aug,1,2000 = -0.08480167243274 #Sep,1,2000 = -0.1070580910361 #Oct,1,2000 = -0.07013958139798 #Nov,1,2000 = -0.1012480004087 #Dec,1,2000 = -0.1259088934862 #Jan,1,2001 = -0.08472922125324 #Feb,1,2001 = -0.1010048267255 #Mar,1,2001 = -0.2020274838145 #Apr,1,2001 = -0.1512492444627 #May,1,2001 = -0.08230648950463 #Jun,1,2001 = -0.171827223144 #Jul,1,2001 = -0.1657014193581 #Aug,1,2001 = -0.1992098773352 #Sep,1,2001 = -0.1953149341575 #Oct,1,2001 = -0.1802311524737 #Nov,1,2001 = -0.190403495356 #Dec,1,2001 = -0.1757127571485 #Jan,1,2002 = -0.1633081577935 #Feb,1,2002 = -0.1714712022662 #Mar,1,2002 = -0.1538914144939 #Apr,1,2002 = -0.1393768912608 #May,1,2002 = -0.1608579937131 #Jun,1,2002 = -0.1878105441354 #Jul,1,2002 = -0.2112036635167 #Aug,1,2002 = -0.2041489794095 #Sep,1,2002 = -0.206849965502 #Oct,1,2002 = -0.1810310688077 #Nov,1,2002 = -0.1842928796773 #Dec,1,2002 = -0.1867831760812
Actual 1986-2002 Worst Draw Down -21.12% at #Jul,1,2002
Worst Cal Year Draw Down -8.71% at #Mar,1,2001
Est 1929-1933 Crash Draw Down -13.83% est. thru 1929 crash
Cash Reserves 70.00%
Portfolio Size 5.0
Number of Months Invested 204
Strategy Monthly Statistics BullCnt = 124 BullMo = 0.03864616504829 BearCnt = 83 BearMo = -0.03394804149345 NeutralMo = 0.00234906177742 NeutralYr = 0.0285558021939
#Jan,1,1986 0.04248859185924
#Feb,1,1986 -0.04092168503419
#Mar,1,1986 0.1181858965013
#Apr,1,1986 0.03207886363459
#May,1,1986 -0.1124205986667
#Jun,1,1986 0.1758397802989
#Jul,1,1986 -0.0643249667137
#Aug,1,1986 0.04906562628529
#Sep,1,1986 -0.03243474859334
#Oct,1,1986 0.03018758005137
#Nov,1,1986 0.02043475897916
#Dec,1,1986 -0.03870605017709
#Jan,1,1987 0.05950854276306
#Feb,1,1987 -0.03619945071576
#Mar,1,1987 0.08228215464865
#Apr,1,1987 -0.004700005078415
#May,1,1987 -0.05598689919831
#Jun,1,1987 0.0956558537045
#Jul,1,1987 0.04064579761073
#Aug,1,1987 -0.01043972723499
#Sep,1,1987 -0.02666228669082
#Oct,1,1987 -0.1256405235259
#Nov,1,1987 -0.01732817199684
#Dec,1,1987 0.05549171328313
#Jan,1,1988 -0.03120816267069
#Feb,1,1988 0.01911382804756
#Mar,1,1988 0.02939570867762
#Apr,1,1988 0.007188283053543
#May,1,1988 -0.04865672652333
#Jun,1,1988 0.08079489101058
#Jul,1,1988 -0.03192125229708
#Aug,1,1988 -0.0218754652141
#Sep,1,1988 0.01997774077698
#Oct,1,1988 0.007896864727684
#Nov,1,1988 -0.01556564192196
#Dec,1,1988 0.008895644548534
#Jan,1,1989 0.0237408235775
#Feb,1,1989 -0.02363279970216
#Mar,1,1989 0.04750798859267
#Apr,1,1989 0.02458429268026
#May,1,1989 -0.04325105778281
#Jun,1,1989 0.0719879418553
#Jul,1,1989 0.01389586998531
#Aug,1,1989 0.02307076737385
#Sep,1,1989 0.02843191010939
#Oct,1,1989 -0.03449304678989
#Nov,1,1989 -0.006823672296113
#Dec,1,1989 0.01207013410237
#Jan,1,1990 -0.01654895247876
#Feb,1,1990 -0.006265664757731
#Mar,1,1990 0.05159184890416
#Apr,1,1990 -0.004527862613378
#May,1,1990 -0.0361371064144
#Jun,1,1990 0.06594593004442
#Jul,1,1990 -0.05526314242382
#Aug,1,1990 -0.03950233762012
#Sep,1,1990 -0.01537979465158
#Oct,1,1990 0.002925573703012
#Nov,1,1990 0.05034211662087
#Dec,1,1990 0.0009430182637165
#Jan,1,1991 0.05769721563602
#Feb,1,1991 -0.05458090486861
#Mar,1,1991 0.1591176890897
#Apr,1,1991 4.778774272962E-006
#May,1,1991 -0.08515097572776
#Jun,1,1991 0.07658435792423
#Jul,1,1991 0.0567018438885
#Aug,1,1991 0.01384411325106
#Sep,1,1991 0.01011480690686
#Oct,1,1991 0.06278111631071
#Nov,1,1991 0.0199303502505
#Dec,1,1991 0.08751013091346
#Jan,1,1992 0.01012300652901
#Feb,1,1992 0.01182929264973
#Mar,1,1992 -0.04350916965033
#Apr,1,1992 -0.02164850981202
#May,1,1992 0.05846876436913
#Jun,1,1992 -0.04269547415594
#Jul,1,1992 0.02220483313765
#Aug,1,1992 -0.00380909454287
#Sep,1,1992 -0.01552728560706
#Oct,1,1992 0.03953633925099
#Nov,1,1992 0.03039120939548
#Dec,1,1992 0.01102155537351
#Jan,1,1993 0.04282346678688
#Feb,1,1993 -0.04128804203419
#Mar,1,1993 0.03370597812786
#Apr,1,1993 0.002059179565727
#May,1,1993 0.006460889717842
#Jun,1,1993 -0.004008902901282
#Jul,1,1993 0.04323238522344
#Aug,1,1993 0.007423793544838
#Sep,1,1993 0.04305525946646
#Oct,1,1993 0.002823809551939
#Nov,1,1993 0.01210692782443
#Dec,1,1993 -0.04167994502735
#Jan,1,1994 0.005364517050205
#Feb,1,1994 0.009303143959673
#Mar,1,1994 0.06676019838435
#Apr,1,1994 0.01935683893283
#May,1,1994 -0.08647189155198
#Jun,1,1994 0.08909525790837
#Jul,1,1994 -0.02496965055415
#Aug,1,1994 0.06721817661113
#Sep,1,1994 -0.01358974126475
#Oct,1,1994 0.05426544017068
#Nov,1,1994 -0.0107998507563
#Dec,1,1994 0.008352748236148
#Jan,1,1995 -0.001823141217878
#Feb,1,1995 0.004273839332268
#Mar,1,1995 0.0131387829078
#Apr,1,1995 0.03101485117903
#May,1,1995 -0.04421821963637
#Jun,1,1995 0.09680868290147
#Jul,1,1995 0.01619959652048
#Aug,1,1995 0.008729054054333
#Sep,1,1995 -0.003373787639537
#Oct,1,1995 0.0453813999921
#Nov,1,1995 -0.01646369395627
#Dec,1,1995 -0.04073527118904
#Jan,1,1996 0.05895223974711
#Feb,1,1996 -0.06441977649873
#Mar,1,1996 0.08459331913463
#Apr,1,1996 0.03718697722009
#May,1,1996 -0.04747994755366
#Jun,1,1996 0.0362390313892
#Jul,1,1996 0.004786483267532
#Aug,1,1996 0.008958766162086
#Sep,1,1996 0.06113593916536
#Oct,1,1996 0.0040349696987
#Nov,1,1996 0.02616309447515
#Dec,1,1996 -0.0312450435007
#Jan,1,1997 0.03709356282141
#Feb,1,1997 -0.02062066959628
#Mar,1,1997 0.0191053627113
#Apr,1,1997 0.0004166737344664
#May,1,1997 0.01138219573341
#Jun,1,1997 0.03841848544269
#Jul,1,1997 0.06955703255626
#Aug,1,1997 -0.001038625784329
#Sep,1,1997 0.01724111691697
#Oct,1,1997 -0.04560431794153
#Nov,1,1997 0.0433518006061
#Dec,1,1997 -0.009357612370258
#Jan,1,1998 0.04877678374863
#Feb,1,1998 -0.05812898009771
#Mar,1,1998 0.09689732707128
#Apr,1,1998 0.044574605201
#May,1,1998 -0.09262322191408
#Jun,1,1998 0.07655307178011
#Jul,1,1998 0.002358338143334
#Aug,1,1998 -0.0434249856554
#Sep,1,1998 -0.03266685897491
#Oct,1,1998 0.09440137740661
#Nov,1,1998 0.02969929690767
#Dec,1,1998 0.04284177778194
#Jan,1,1999 0.03347534149227
#Feb,1,1999 -0.0153920827801
#Mar,1,1999 0.1192211394235
#Apr,1,1999 -0.01855793413696
#May,1,1999 -0.05747470062058
#Jun,1,1999 0.1378492408282
#Jul,1,1999 -0.006292348359059
#Aug,1,1999 0.03746039801969
#Sep,1,1999 -0.03925193919307
#Oct,1,1999 0.06528822452082
#Nov,1,1999 0.08806458173674
#Dec,1,1999 -0.09070289015341
#Jan,1,2000 -0.02040294896681
#Feb,1,2000 0.03370845165617
#Mar,1,2000 -0.002372142357613
#Apr,1,2000 -0.03242444176489
#May,1,2000 0.004881655173612
#Jun,1,2000 0.01676094895889
#Jul,1,2000 -0.02348711110473
#Aug,1,2000 0.03204505749228
#Sep,1,2000 -0.02431868364809
#Oct,1,2000 0.04134480559992
#Nov,1,2000 -0.03345493408297
#Dec,1,2000 -0.0274390411245
#Jan,1,2001 0.04711141885104
#Feb,1,2001 -0.01778228459842
#Mar,1,2001 -0.1123728581557
#Apr,1,2001 0.06363407049977
#May,1,2001 0.08122850496248
#Jun,1,2001 -0.09754970762628
#Jul,1,2001 0.007396770284082
#Aug,1,2001 -0.04016362817174
#Sep,1,2001 0.004863875149585
#Oct,1,2001 0.01874495044589
#Nov,1,2001 -0.01240879415333
#Dec,1,2001 0.01814575300563
#Jan,1,2002 0.01504887945626
#Feb,1,2002 -0.009756333288939
#Mar,1,2002 0.02121807693391
#Apr,1,2002 0.01715444504609
#May,1,2002 -0.02495994150528
#Jun,1,2002 -0.03211917675485
#Jul,1,2002 -0.02880254011231
#Aug,1,2002 0.00894360658247
#Sep,1,2002 -0.003393833798808
#Oct,1,2002 0.0325523489521
#Nov,1,2002 -0.003982826143204
#Dec,1,2002 -0.003052929589294